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Day-of-the-week effect in the Nigerian Stock Market Returns and Volatility: Does the Distributional Assumptions Influence Disappearance?
Day-of-the-week Disappearance GARCH Model Stock
2016/1/27
This study assesses the influence of error distributional assumption on appearance or disappearance of day-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The...
On Asymmetry，Holiday and Day-of-the-week Effects in Volatility of Daily Stock Returns：The Case of Japan
Asymmetry effect daily stock returns day-of-the-week effect holiday effect Nikkei 225 stock average stochastic variance model U.S. stock price change effect volatility volatility transmission
2009/3/10
In this paper, we investigate volatility in Japanese stock returns, using the state-space model. The daily data of Nikkei 225 stock average from January 4, 1985 to June 10, 2004 are utilized and the s...